Posted 10/12/09
CALL FOR PAPERS
3RD INTERNATIONAL FINANCIAL RESEARCH FORUM
RISK DEPENDENCIES
Paris, France
March 25 & 26, 2010
The International Financial Research Forum on "Risk
Dependencies" is an international research forum for
academics and professionals organised by the Louis
Bachelier Institute (ILB), the Europlace Institute of
Finance (EIF) and the Risk Foundation.
http://www.institutlouisbachelier.org/risk10/
OBJECTIVES:
The forum pursues three objectives:
- To identify the main streams of research that will
structure the market's evolution in the future
- To organize presentations and debates on these new
trends
- To reassess in view of recent developments the market and
regulatory impacts of these evolutions
TOPICS
- Economic Foundation of Risk Dependence: term structure of
dependence, contagion models, effects of cycles, links
between real and financial factors, dynamic of demand,
lapse and prepayment, long run factors such as longevity,
global warming or demography, effect of life cycle for
retail products;
- Behavioral and Informational Foundations: herding,
informational avalanche, management of information,
heterogeneous beliefs;
- Modelling Risk Dependence: risk factor models, copulas,
dependence of extreme risks, measures of multivariate
risk, linear vs nonlinear dependence;
- Hedging of Risk Dependence: basket derivatives,
multisupport derivatives, longevity bonds;
- Management and Control of Systematic Factors: defining
and regulating systemic risk, pro vs countercyclical
management, monitoring of a liquidity crisis,
disentangling macro and idiosyncratic risks for required
capital, granularity adjustment, stress testing on
systematic factors, coordination of regulators.
PAPER SUBMISSION PROCEDURE:
We invite academics, professionals and regulators to submit
papers for this meeting which takes place in Paris on March
25 & 26, 2010.
The results of the selection procedure will be available by
mid-January 2010.
For any inquiries:
Email: MAILTO:risk@institutlouisbachelier.org